메뉴 건너뛰기




Volumn 4448 LNCS, Issue , 2007, Pages 189-198

Quantum-inspired evolutionary algorithms for calibration of the VG option pricing model

Author keywords

[No Author keywords available]

Indexed keywords

IMMUNOLOGY; MATHEMATICAL MODELS;

EID: 34548104448     PISSN: 03029743     EISSN: 16113349     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper
Times cited : (9)

References (21)
  • 3
    • 0036945847 scopus 로고    scopus 로고
    • Quantum-inspired evolutionary algorithm for a class of combinatorial optimization
    • Han, K-H. and Kim, J-H. (2002). Quantum-inspired evolutionary algorithm for a class of combinatorial optimization, IEEE Transactions on Evolutionary Computation, 6(6):580-593.
    • (2002) IEEE Transactions on Evolutionary Computation , vol.6 , Issue.6 , pp. 580-593
    • Han, K.-H.1    Kim, J.-H.2
  • 6
    • 4344629928 scopus 로고    scopus 로고
    • Yang, S., Wang, M. and Jiao, L. (2004). A novel quantum evolutionary algorithm and its application, Proceedings of IEEE Congress on Evolutionary Computation 2004 (CEC 2004), 19-23 June 2004, pp. 820-826, IEEE Press.
    • Yang, S., Wang, M. and Jiao, L. (2004). A novel quantum evolutionary algorithm and its application, Proceedings of IEEE Congress on Evolutionary Computation 2004 (CEC 2004), 19-23 June 2004, pp. 820-826, IEEE Press.
  • 10
    • 0036079696 scopus 로고    scopus 로고
    • Garavaglia, S. (2002). A quantum-inspired self-organizing map (QISOM), Proceedings of 2002 International Joint Conference on Neural Networks (IJCNN 2002),12-17 May 2002, pp. 1779-1784, IEEE Press.
    • Garavaglia, S. (2002). A quantum-inspired self-organizing map (QISOM), Proceedings of 2002 International Joint Conference on Neural Networks (IJCNN 2002),12-17 May 2002, pp. 1779-1784, IEEE Press.
  • 15
    • 84901398730 scopus 로고    scopus 로고
    • Han, K-H. and Kim, J-H. (2003). On setting the parameters of quantum-inspired evolutionary algorithm for practical applications, Proceedings of IEEE Congress on Evolutionary Computing (CEC 2003), 8 Aug-12 Dec. 2003, pp. 178-184, IEEE Press.
    • Han, K-H. and Kim, J-H. (2003). On setting the parameters of quantum-inspired evolutionary algorithm for practical applications, Proceedings of IEEE Congress on Evolutionary Computing (CEC 2003), 8 Aug-12 Dec. 2003, pp. 178-184, IEEE Press.
  • 16
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F. and Scholes, M. (1973). The pricing of options and corporate liabilities, Journal of Political Economy, 81, pp. 637-654.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 17
    • 0000903441 scopus 로고
    • The VG model for share market returns
    • Madan, D. and Seneta, E. (1990). The VG model for share market returns, Journal of Business, 63, pp. 511-524.
    • (1990) Journal of Business , vol.63 , pp. 511-524
    • Madan, D.1    Seneta, E.2
  • 18
    • 84986841347 scopus 로고
    • Option pricing with VG martingale components
    • Madan, D. and Milne, F. (1991). Option pricing with VG martingale components, Mathematical Finance, 1 (4), pp. 39-55.
    • (1991) Mathematical Finance , vol.1 , Issue.4 , pp. 39-55
    • Madan, D.1    Milne, F.2
  • 19
    • 0002895230 scopus 로고    scopus 로고
    • The Variance Gamma Process and Option Pricing
    • Madan, D., Carr, P. and Chang, E. (1998). The Variance Gamma Process and Option Pricing, European Finance Review, 2, pp. 79-105.
    • (1998) European Finance Review , vol.2 , pp. 79-105
    • Madan, D.1    Carr, P.2    Chang, E.3
  • 20
    • 33745032440 scopus 로고    scopus 로고
    • Recovering volatility from option prices by evolutionary optimisation
    • Summer
    • Cont, R. and Ben Hamida, S. (2005). Recovering volatility from option prices by evolutionary optimisation, Journal of Computational Finance, 8 (4), Summer 2005.
    • (2005) Journal of Computational Finance , vol.8 , Issue.4
    • Cont, R.1    Ben Hamida, S.2
  • 21
    • 0032251894 scopus 로고    scopus 로고
    • Convergence Properties of the Neider-Mead Simplex Method in Low Dimensions
    • Lagarias, J.C., J. A. Reeds, M. H. Wright, and P. E. Wright. (1998) .Convergence Properties of the Neider-Mead Simplex Method in Low Dimensions, SIAM Journal of Optimization, Vol. 9, Number 1, pp.112-147, 1998.
    • (1998) SIAM Journal of Optimization , vol.9 , Issue.1 , pp. 112-147
    • Lagarias, J.C.1    Reeds, J.A.2    Wright, M.H.3    Wright, P.E.4


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.